制造商产品质量风险管理的期权策略优化研究

›› 2017, Vol. 29 ›› Issue (8): 77-90.

制造商产品质量风险管理的期权策略优化研究

陈静^1,3, 李佩², 张永芬^3,4

1. 山东工商学院工商管理学院, 烟台 264005;
2. 上海立信会计金融学院工商管理学院, 上海 201209;
3. 上海财经大学国际工商管理学院, 上海 200433;
4. 上海开放大学金融与会计系, 上海 200433

收稿日期:2014-12-16 出版日期:2017-08-28 发布日期:2017-09-26
作者简介:陈静,山东工商学院工商管理学院,讲师;李佩,上海立信会计金融学院工商管理学院,讲师;张永芬,上海财经大学国际工商管理学院博士研究生。
基金资助:
国家自然科学基金项目（71272015；71571114）；上海财经大学2013年研究生创新基金资助项目（CXJJ-2013-358）。

Optimal Option Strategy for Manufacturers to Manage Their Product Quality Risks

Chen Jing^1,3, Li Pei², Zhang Yongfen^3,4

1. School of Business Administration, Shandong Technology and Business University, Yantai 264005;
2. School of Business Administration, Shanghai Lixin University of Accounting and Finance, Shanghai 201209;
3. School of International Business Administration, Shanghai University of Finance & Economics, Shanghai 200433;
4. Department of Finance and Accounting, Shanghai Open University, Shanghai, 200433

Received:2014-12-16 Online:2017-08-28 Published:2017-09-26

摘要/Abstract

摘要：

自20世纪90年代以来，供应链管理模式在为制造商带来发展机遇的同时也增加了其面对的产品质量风险。为了降低制造商因产品质量风险导致的经济损失，研究设计了一种期权策略。通过购买该期权，制造商可借助金融机构的风险吸收能力管理产品质量风险。以均值-方差效用最大化为目标，研究首先分析了制造商购买该期权的条件。其次，给出制造商在不同情景下的最优期权策略：情景一，当金融机构给定期权的双边界返修率时，制造商如何制定最优执行价格；情景二，当金融机构给定执行价格与某一边界返修率时，制造商如何选择另一个边界返修率。最后，以实际返修率服从[0，1）区间的贝塔分布为例，给出了制造商应用期权管理产品质量风险的最优决策算例分析。

关键词: 产品质量风险, 均值-方差, 期权策略, 执行价格, 返修率

Abstract:

Since the 1990s, supply chain management has brought development opportunities for manufacturers, but at the same time has increased the product quality risks that they confront. In order for manufacturers to reduce the economic losses caused by product quality risks, an option strategy is worked out in the study. It is held in the paper that, by buying the option, a manufacturer can take advantage of the risk absorbing capacities of financial institutions in favor of quality risk management. Primarily, to maximize the mean-variance utility, conditions for manufacturers purchasing the options are analyzed. Furthermore, the optimal option strategies are given for manufacturers to employ in different situations:Scenario-1 describes how manufacturers should decide an optimal strike price when the financial institutions give the dual boundary repair rate of the option; Scenario-2 describes how manufacturers should choose another boundary repair rate when the financial institutions give a strike price and a boundary repair rate. Finally, with the actual repair rate obeying the beta distribution as an example, an analysis of the optimal decision is given to support the option application by manufacturers for product quality risk management.

Key words: product quality risks, mean-variance, option strategies, strike price, repair rate

陈静, 李佩, 张永芬. 制造商产品质量风险管理的期权策略优化研究[J]. , 2017, 29(8): 77-90.

Chen Jing, Li Pei, Zhang Yongfen. Optimal Option Strategy for Manufacturers to Manage Their Product Quality Risks[J]. , 2017, 29(8): 77-90.

参考文献

[1] 吴军,李健,汪寿阳. 供应链风险管理中的几个重要问题[J]. 管理科学学报, 2007,9(6):1-12
[2] 顾力刚,高滔. 供应链质量风险的应急管理研究[J]. 标准科学, 2009,(5):4-7
[3] 蒋家东,赵晗萍,冯允成. 供应链质量风险的形态与特征研究[J]. 管理学报, 2007(z1):17-23
[4] 张翠华,黄小原. 非对称信息下业务外包中的质量评价决策[J]. 中国管理科学, 2004,12(1):46-50
[5] Barber B. M., Darrough M. N. Product Reliability and Firm Value:The Experience of American and Japanese Automakers, 1973-1992[J]. Journal of Political Economy, 1996,104(5):1084-1099
[6] Souiden N., Pons F. Product Recall Crisis Management:The Impact on Manufacturer's Image, Consumer Loyalty and Purchase Intention[J]. Journal of Product & Brand Management, 2009,18(2):106-114
[7] Reyniers D. J., Tapiero C. S. The Delivery and Control of Quality in Supplier-Producer Contracts[J]. Management Science, 1995,41(10):1581-1589
[8] Lim W. S. Producer-Supplier Contracts With Incomplete Information[J]. Management Science, 2001,47(5):709-715
[9] Balachandran K. R, Radhakrishnan S. Quality Implications of Warranties in A Supply Chain[J]. Management Science, 2005,51(8):1266-1277
[10] 李丽君,黄小原,庄新田. 双边道德风险条件下供应链的质量控制策略[J]. 管理科学学报, 2005,8(1):42-47
[11] Zhu K., Zhang R. Q., Tsung F. Pushing Quality Improvement Along Supply Chains[J]. Management Science, 2007,53(3):421-436
[12] 洪江涛,陈俊芳. 供应商产品质量控制的激励机制研究[J]. 管理评论, 2007,19(3):49-52
[13] 朱立龙,尤建新. 非对称信息供应链质量信号传递博弈分析[J]. 中国管理科学, 2011,19(1):109-118
[14] Chao G. H., Iravani S. M. R., Savaskan R. C. Quality Improvement Incentives and Product Recall Cost Sharing Contracts[J]. Management Science, 2009,55(7):1122-1138
[15] Billington C., Johnson B., Triantis A. A Real Options Perspective on Supply Chain Management in High Technology[J]. Journal of Applied Corporate Finance, 2002,15(2):32-43
[16] 李婕. 金融工程在供应链风险管理中的应用分析[J]. 生产力研究, 2008,(4):32-33
[17] 张娓. 促进产品质量保险发展的几点思考[J]. 生产力研究, 2010,(4):85-86
[18] 吴祥佑. 论产品召回保险的性质[J]. 保险研究, 2011,(3):70-78
[19] 杨培涛. 期权在保险中的应用研究[D]. 中南林学院硕士学位论文, 2004
[20] Chen F., Parlar M. Value of a Put Option to The Risk-Averse Newsvendor[J]. ⅡE Transactions, 2007,39(5):481-500
[21] Barnes-Schuster D., Bassok Y., Anupindi R. Coordination and Flexibility in Supply Contracts With Options[J]. Manufacturing & Service Operations Management, 2002,4(3):171-207
[22] Kim C., Bae T., Kulperger R. J. Securitization of Motor Insurance Loss Rate Risks[R]. Australian School of Business Research Paper, (2008ACTL03), 2008
[23] 崔伟. 汽车保险期权定价与实证研究[D]. 吉林大学硕士学位论文, 2011
[24] 约翰.赫尔. 期权、期货及其他衍生产品(第8版)[M]. 北京:械工业出版社, 2012
[25] 林洁. 违约损失率分布特征与量化方法研究[D]. 厦门大学博士学位论文, 2008
[26] Tsay A. A. Risk Sensitivity In Distribution Channel Partnerships:Implications for Manufacturer Return Policies[J]. Journal of Retailing, 2002,78(2):147-160
[27] 孙华,胡金焱. 风险偏好下的供应链协同契约机制研究[J]. 云南大学学报(社会科学版), 2011,10(3):85-91
[28] Hayek P. A., Salameh M. K. Production Lot Sizing with The Reworking of Imperfect Quality Items Produced[J]. Production Planning and Control, 2001,12(6):584-590
[29] Chan W. M., Ibrahim R. N., Lochert P. B. A New EPQ Model:Integrating Lower Pricing Rework and Reject Situations[J]. Production Planning Control, 2003,14:588-595
[30] Sarkar B., Cárdenas-Barrón L. E., Sarkar M., Singgih M. L. An Economic Production Quantity Model with Random Defective Rate, Rework Process and Backorders for A Single Stage Production System[J]. Journal of Manufacturing Systems, 2014,33(3):423-435